The Optimism Cycle: Sell in May

Abstract

Earnings revisions, Optimism cycle, Psychology, Seasonality, Sell in May, G12, G14, G15,

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

“…The excessive investors' optimism leads to higher rates of return followed by a readjusted expectations. In contrary to the SAD hypothesis, which suggest a varying risk premium, the Doeswijk (2005) explanation reflects a constant risk premium but a varying perception of the economic outlook (Zacks, 2011, p. 224). Data snooping, suggested by Sullivan et al (2001) may be treated as an unlikely explanation for Halloween effect.…”

“…A link between seasonality and stock return was proposed by Kamstra et al (2003) as well as by Garrett et al (2004), who introduced Seasonal Affective Disorder (SAD), but Doeswijk (2005) argued that the historically high November returns cannot be explained by the SAD hypothesis because the SAD starts in September. According to Doeswijk (2005) the explanation of sell-in-May-and-go-away effect may be the overoptimism of investors in the last quarter of the year about the upcoming year.…”

“…According to Doeswijk (2005) the explanation of sell-in-May-and-go-away effect may be the overoptimism of investors in the last quarter of the year about the upcoming year. The excessive investors' optimism leads to higher rates of return followed by a readjusted expectations.…”

New Season New Hopes: Off-Season Optimism

“…While several explanations such as the length and the timing of vacations and Seasonal Affective Disorder are made, Doeswijk (2008) proposes the optimism-cycle hypothesis as a potential explanation for the aforementioned puzzle. Through the end of the year, i.e.…”

Tres ensayos en Finanzas del Comportamiento

“…Tradicionalmente, ha habido un gran interés tanto por parte de los inversores como por parte de los académicos en el estudio de los datos bursátiles, existiendo trabajos que abordan el efecto calendario que se remontan a las décadas de los años 30 y 40, como es el caso de los estudios de Fields (1931de Fields ( , 1934 (Pettengill, 1989), la variación temporal de los diferenciales entre los precios (Keim, 1989), el riesgo macroeconómico (Chen y Chan, 1997), los sesgos en el comportamiento de los inversores (Kamstra et al, 2003;Doeswijk, 2008) y las ventas a corto (Christophe et al, 2009). En cambio, tomando en consideración la teoría económica tradicional, los precios de las acciones no deberían seguir pautas sistemáticas, por lo que excluye a priori los componentes estacionales a menos que éstos pueden estar ligados a las variaciones sistemáticas de las primas de riesgo (Samuelson, 1965;Leroy, 1973;Lucas, 1978).…”